Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0384 |
| Annualized Std Dev | 0.2245 |
| Annualized Sharpe (Rf=0%) | -0.1709 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3585.0000 |
| NAs | 1.0000 |
| Minimum | -0.1034 |
| Quartile 1 | -0.0057 |
| Median | 0.0003 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1071 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0141 |
| Skewness | -0.7402 |
| Kurtosis | 9.0011 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0119 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0106 |
| Downside Deviation (0%) | 0.0106 |
| Maximum Drawdown | 0.7522 |
| Historical VaR (95%) | -0.0213 |
| Historical ES (95%) | -0.0363 |
| Modified VaR (95%) | -0.0236 |
| Modified ES (95%) | -0.0520 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-08 | 2009-03-09 | NA | -0.7522 | 3493 | 463 | NA |
| 2007-02-26 | 2007-03-05 | 2007-04-16 | -0.1003 | 35 | 6 | 29 |
| 2007-01-03 | 2007-01-10 | 2007-01-22 | -0.0280 | 13 | 6 | 7 |
| 2007-04-17 | 2007-05-01 | 2007-05-02 | -0.0166 | 12 | 11 | 1 |
| 2007-01-25 | 2007-01-26 | 2007-02-01 | -0.0121 | 6 | 2 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 | 0.5 |
| 2007 | 1.1 | -1.2 | 1.3 | -0.3 | 0.3 | -0.2 | -1 | 1.4 | 0.5 | -2.7 | 0.6 | 0.1 | -0.2 |
| 2008 | 2 | -3.3 | 4.5 | 0.7 | 0.2 | -1 | -0.3 | 0.3 | 0.9 | 2 | -7.8 | 0.9 | -1.4 |
| 2009 | -1.2 | 1.4 | 1.2 | 0 | 1.8 | 1.6 | 2.1 | -2.8 | -2 | -2.2 | 2.6 | 0.1 | 2.5 |
| 2010 | 1.6 | 0.9 | 1.9 | -0.6 | -1 | 1.3 | 0.1 | 2.7 | 1.6 | 0.4 | 2.7 | 0.7 | 13 |
| 2011 | 1.8 | -1.6 | 0.9 | 0.5 | -1.8 | 0.8 | -0.5 | -0.9 | -3.4 | -2 | -1.8 | 0.3 | -7.5 |
| 2012 | 1.6 | 1 | 1 | 0.3 | -1.8 | 3 | 0.2 | 0.8 | 0.1 | 1.1 | 0.2 | 1.2 | 8.9 |
| 2013 | 0.4 | 0.7 | -1.8 | -0.3 | -2.1 | -0.5 | 1.2 | 0.1 | 0.7 | -0.3 | 0 | 1.1 | -0.9 |
| 2014 | -1.1 | 0.5 | 0.2 | 0 | 0.3 | 0.6 | -0.3 | -0.3 | -0.7 | 2.5 | 0 | -0.8 | 1 |
| 2015 | -1.8 | -0.3 | 0.7 | 0.2 | 0.2 | 0.3 | 0.3 | -2.6 | 0.2 | -0.2 | 1.9 | -1 | -2.1 |
| 2016 | 0.7 | 2.4 | -0.9 | 0 | 0.1 | 0 | -0.6 | 0.9 | 1.1 | -0.4 | -1.3 | 0.8 | 3.1 |
| 2017 | 0.2 | 0.1 | 0.5 | 0 | 0.9 | -0.2 | 0.3 | -0.4 | 0.7 | -0.4 | 0 | -0.1 | 1.6 |
| 2018 | -1.2 | -0.3 | 0.9 | -0.2 | 0 | 0.7 | -0.6 | -0.2 | -0.3 | 1.5 | -1.1 | 0 | -0.7 |
| 2019 | -0.1 | 0.2 | 0.3 | -0.3 | 0 | 0.3 | -0.1 | 0.4 | -0.7 | 0.4 | -0.3 | 0.3 | 0.6 |
| 2020 | -0.4 | -2.1 | -3.6 | -2 | 1.9 | 1.6 | -0.7 | -0.2 | 1.1 | -0.2 | 2.1 | -0.6 | -3.3 |
| 2021 | 0 | 1.3 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-12-19 60.6 SPY 142. 1.90e-3 0.0035 0.0128 0.0733 0.131 0.296 0.237 GLD 61.8 0.0125 -0.0115
2 2006-12-20 60.8 SPY 142. -6.00e-4 0.0019 0.0117 0.0779 0.130 0.305 0.228 GLD 61.6 -0.00290 -0.0138
3 2006-12-21 60.8 SPY 142. -3.70e-3 -0.0105 0.007 0.0772 0.124 0.291 0.235 GLD 61.4 -0.0039 -0.0119
4 2006-12-22 61.4 SPY 141. -6.10e-3 -0.0112 -0.00120 0.0624 0.111 0.283 0.224 GLD 61.6 0.0044 0.0107
5 2006-12-26 61.6 SPY 142. 5.90e-3 -0.0026 0.0088 0.0599 0.117 0.292 0.234 GLD 62.0 0.0054 0.0154
6 2006-12-27 62.0 SPY 143. 6.60e-3 0.002 0.0295 0.0656 0.136 0.299 0.235 GLD 62.2 0.0039 0.0068
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
